Louis, Glad to be able to help you along a little.
> explaining why you don't go in faster timeframe. Would it mean >that if you > have (had?) a broadband connection you might consider going to tick? No, I wouldn't go to tick, or ATR, right now because I have plenty on my plate - more than I can eat (I have more than enough working systems/tradeable ideas, already, to see me to the end of my trading days - I am winding back on R&D and moving towards office hours). I might go into it at a future date but only to make my trading easier, by automating some aspects, or as a 'study piece'...... (to pass a music exam, say on the piano, the student has to demonstrate competence in a range of styles, that require different technical competence, some of which they don't have an affinity for and/or find more difficult than others). I think we trade better if we are competent in all of the main facets of trading - ATR and/or tick trading are major and relatively new areas so it would be worth my while to learn the basics. Programming and maths are my weakest links so I have made a special effort with maths (mainly stats with trading relevance) - I would still benefit from some extra effort with programming skills. brian_z --- In [email protected], "Louis Préfontaine" <[EMAIL PROTECTED]> wrote: > > Hi, > > This is a six years old post?! In my gmail it shows as a July 2008 post... > or maybe I missed something... > > Anyway, that was great Brian! It gives me a lot to think about. > > However in your post you talk about the speed of your internet connection > explaining why you don't go in faster timeframe. Would it mean that if you > have (had?) a broadband connection you might consider going to tick? > > Wow I can't believe that was 6 years ago. Seems like nothing changed in the > market! ;-) Or maybe it's simply the bear again! > > Thanks a lot, > > Louis > > 2008/7/8 brian_z111 <[EMAIL PROTECTED]>: > > > Louis, > > > > Our last posts crossed. > > > > Briefly (I have to go right now but I often extend my posts at a > > later time, aor in a different place, so more might pop up later) > > > > > > > But even if you say this is not > > > discretionnary trading, how can you backtest and really optimize or > > >test a > > > strategy that rely on visual and discretionary decisions? > > > > You can't. > > > > Nor can you defy the laws of mathematics (statistics) etc. > > > > I am not going against the principles of system design testing and > > evaluation. > > I am saying I am competent enough to apply them with a limited amount > > of discretion (after the systems boundaries have been established by > > observation and testing). > > > > This particular system doesn't involve otpimizing - there are no > > lookbacks and nothing to optimize (that is not to say that a trader > > with a highly analytical approach couldn't squeeze more out of the > > trade and/or work more variations). > > > > Market behaviour isn't going to change anytime soon - if, and when > > it does, my trade will disappear from the screen. > > > > I have backtested the fundamental trade template, that underlies the > > trade (that was easy enough to do) - small things, that change on a > > daily basis, can't be backtested (e.g. the data might not exist) it > > might be too hard for me to do (but possible for others) or the > > backtesting overheads, to go the extra mile, not worth it to me > > personally). > > > > Note: components of the system are endemic to the markets and I have > > tested those thing to exhaustion in the past - now I put them > > straigHt into the trade without the need to keep going over and over > > the same things. > > > > What parts of it are discretionary? > > > > Examples: > > > > - the setup might be there but there is not enough volatility around > > so, in practise, I would sit there all day to scrape a draw or a win > > (I will just pull out of the trade) - on paper it would backtest as a > > small win. > > > > - the setup doesn't look exactly the same every single day - the > > underlying cause is persistent but the daily mood/individual > > behaviours can change it a little or even abort it (I have to decide > > if it is good to go or not, based on relative information e.g. if in > > doubt I can look at something else, that I don't always look at, to > > see what it is doing). > > > > Specific example: > > > > Australian market time, something can change dramatically in Asia and > > impact on the trade I am in - in a backtest that could register as a > > big loser - in reality I might have pulled out of the trade early, > > based on news OR price fluctuations in the Asian markets - possibly I > > would only avoid part of the extreme losses - but in reality can you > > and do you backtest those things. > > > > brian_z > > > > --- In [email protected] <amibroker%40yahoogroups.com>, "Louis > > Préfontaine" > > <rockprog80@> wrote: > > > > > > Hi Brian, > > > > > > I hope I understood your first paragraph correctly, and if it is > > the case, > > > then I'll do my best. > > > > > > Thank you for sharing your ideas. But even if you say this is not > > > discretionnary trading, how can you backtest and really optimize or > > test a > > > strategy that rely on visual and discretionary decisions? > > > > > > Louis > > > > > > 2008/7/8 brian_z111 <brian_z111@>: > > > > > > > > > Ara > > > > > > > > You give a lot of quiet unselfish help to others, via your posts, > > so > > > > a special for your (maybe not as good as an answer from Jayson but > > > > still relevant I think): > > > > > > > > - I am working on a new 'sector' based trade, albeit with a subtle > > > > creative twist (the play is based on a nuance in the markets) > > > > > > > > - it is an intraday trade (any old timeframe will do - not tick - > > say > > > > 5 minute bars but it could be 2 or 10 minutes) > > > > > > > > it is intraday because: > > > > > > > > a) I like high frequency trades for statistical (equity) smoothing > > > > b) the nuance exits in RT (I didn't make it that way it is just > > there > > > > in the RT charts) > > > > c) it stacks up at that timeframe (my comissions are 0.1% each > > way, > > > > slippage is a furphy and my targets are +0.5% net) i.e. the size > > of > > > > the moves are tradeable, which of course varies from market to > > > > market, trade to trade etc - but it will work in other timeframes > > > > d) it suits my personality (I want the outcome today so I can go > > to > > > > bed tonight for a good relaxed rest - I have my pay for the day in > > > > the bank) i.e it is just a job - I go to work each day and like to > > > > get the days work over and done with. > > > > e) intraday manages some other risks I want to avoid (overnight > > > > market risk) > > > > f) I can deploy the strategy on a local platform (keep my money > > in an > > > > Australian account) that allows me to manage it with low 'business > > > > overheads' and low stress (I don't have to hire an international > > tax > > > > accountant :-) ) > > > > > > > > Keep in mind I haven't traded this one yet (this is what I am > > seeing > > > > in the charts - live 'testing' - IMO traders who don't, or won't, > > > > believe what they are seeing are fundamentally flawed traders): > > > > > > > > W/L isn't so important, outside of payoff ratio, but I expect to > > well > > > > outperform random W/L ratios == 50/50 +_ statistical error/ so I > > will > > > > do better than break even W/L with payoff ratios around 1.5/1 at > > the > > > > least(I am being very conservative here privately I am looking at > > a > > > > W/L of at least 60-70% but I am not going to debate the topic). > > > > > > > > I expect trible figures P.A%. > > > > > > > > The energy overheads of the trade are low (no extensive number > > > > crunching etc) - I can run on visual/manual trading with only an > > > > alert (so I can relax around the house and the alert will call me > > > > back to the screen if needs be). > > > > > > > > Note: it is not tick trading so I don't need the big guns > > (AB/IB/ATR) > > > > and I don't have any sweat on my brow with every pixel of price > > > > movement). > > > > > > > > The process is: > > > > > > > > a) start off the Aus day by looking at a few intraday charts > > > > (overnight/previous days) - around 5 will do it (sector orientated > > > > charts/component stocks etc) > > > > b) the charts DICTATE the trade > > > > c) wait for the Aussie open > > > > d) visually confirm the setup as it unfolds (no scanning, no > > > > formulas - I know in advance which underlying I am on) > > > > e) take the trade (the underlying can be a stock/sector/index and > > the > > > > instrument can be anything that works with the trade - some > > > > instruments work better than others based on > > > > availabilty/liquidity/carry costs/comissions etc but the strategy > > > > remains the same) > > > > f) mentally 'set' a target and stop (some discretion comes into it > > > > based on the charts) > > > > > > > > Note - to an onlooker it seems like discretionary trading but it > > > > isn't (the 1000's of hours of study, backtesting, evaluation > > studies, > > > > discussions on evaluation in this forum, experience etc all go > > into > > > > it - I am not dependent on software/platform - if the trade > > doesn't > > > > demand a particular platform or software I don't use it just for > > the > > > > sake of it - KISSam or Sally) - I believe in the power of the mind > > > > and 'work' to train the trading mind - once it is trained why get > > in > > > > front of it? > > > > > > > > How many trades per month? > > > > > > > > - the strategy is flexible, especially if the trader is flexible > > > > > > > > One example: > > > > > > > > - it can be all over in 1/2 hour from market open > > > > - the best setup isn't there every day so if I don't push it then > > the > > > > trade is say three opens week * ave 0.5% P/L per trade > > > > > > > > Of course there are so many other markets/instruments etc . > > > > > > > > I could drink a lot of coffee and trade 24 hours non-stop (re- nter > > > > later in the day or after the opening trade is over go to another > > > > underlying that is still in setup etc and re-enter the market or > > > > wait for the next market to open and play again)? > > > > > > > > brian_z > > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com><amibroker% > > 40yahoogroups.com>, > > > > > > "akaloustian" <ara1@> wrote: > > > > > > > > > > Jayson, > > > > > > > > > > You have a very interesting system! > > > > > > > > > > I am curious how you use it and what kind of results you get... > > > > > > > > > > Decision making process... number of trades per month.... win > > > > > ratio... etc. > > > > > > > > > > Ara > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > --- In [EMAIL PROTECTED], "Jayson" <[EMAIL PROTECTED]> wrote: > > > > > > All; > > > > > > > > > > > > A great deal of my work revolves around sector analysis. I > > like > > > > to > > > > > select > > > > > > stocks whose sectors are strong or advancing. one way to > > gauge a > > > > > sectors > > > > > > strength is to measure its components closing price against > > > > > previous prices. > > > > > > I like to use 25 day new highs as my gauge. The enclosed scan > > ( ! > > > > > sector > > > > > > analysis) creates a list of 13 composite symbols. One for each > > > > of > > > > > the 12 > > > > > > sectors plus one of the entire universe under study. By > > default > > > > the > > > > > > composites will be stored in group to 253. > > > > > > > > > > > > To run the scan first choose a universe of stocks. your range > > > > > should equal > > > > > > one day. On a large universe your initial scan will take a few > > > > > minutes. > > > > > > > > > > > > to view the composites I use a market Strength indicator (CMF > > or > > > > > your > > > > > > favorite) as well as the custom indicator, Sector View. this > > > > > indicator > > > > > > produces a smooth oscillator in histogram form. readings > > above 0 > > > > > indicate > > > > > > market strength, below zero indicate weakness. The number > > > > > indicates the % > > > > > > of stocks within a given sector that have reached new 25 day > > > > highs > > > > > or Lows. > > > > > > in my bottom pane I have a simple line plot and include volume > > > > for > > > > > the > > > > > > sector. > > > > > > > > > > > > The resulting tab should look something like this.... > > > > > > > > > > > > > > > > > > > > > > > > I have collected this data with XL for over year and found to > > be > > > > > very > > > > > > useful. AB makes my life so much easier! there may very well > > > > > > be a more efficient way to calculate these composites, I'm > > open > > > > to > > > > > any > > > > > > suggestions or improvements. btw a simple exploration of group > > > > 253 > > > > > will > > > > > > provide a snapshot of RS by each sector. Those falling above > > > > > ~Universe are > > > > > > out performing, those below are under performing. I hope some > > of > > > > > you may > > > > > > find this useful. > > > > > > > > > > > > Regards, > > > > > > > > > > > > > > > > > > > > > > > > Jayson > > > > > > > > > > > > > > > > > > > > > > > > > > >
